Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 3 | 5 | 3 |
| Score | -4.18 | -1.44 | -4.05 |
| Market Cap (Millions USD) | 6272.92 | 6317.06 | 5789.64 |
| Predicted Beta | 1.77 | 1.83 | 1.84 |
| Idiosyncratic Volatility | 3.7 | 5.61 | 6.05 |
Annualized return and volatility
| IJS | |
|---|---|
| Annualized Return | 0.0979 |
| Annualized Std Dev | 0.2250 |
| Annualized Sharpe (Rf=0%) | 0.4349 |
Row
Daily Return Statistics
| IJS | |
|---|---|
| Observations | 4966.0000 |
| NAs | 148.0000 |
| Minimum | -0.1240 |
| Quartile 1 | -0.0068 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0079 |
| Maximum | 0.0882 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0142 |
| Skewness | -0.1687 |
| Kurtosis | 5.4565 |
Downside Risk
| IJS | |
|---|---|
| Semi Deviation | 0.0102 |
| Gain Deviation | 0.0098 |
| Loss Deviation | 0.0104 |
| Downside Deviation (MAR=210%) | 0.0148 |
| Downside Deviation (Rf=0%) | 0.0100 |
| Downside Deviation (0%) | 0.0100 |
| Maximum Drawdown | 0.6011 |
| Historical VaR (95%) | -0.0214 |
| Historical ES (95%) | -0.0327 |
| Modified VaR (95%) | -0.0220 |
| Modified ES (95%) | -0.0372 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2012-02-01 | -0.6011 | 1196 | 455 | 741 |
| 2002-05-06 | 2002-10-09 | 2003-11-26 | -0.3641 | 405 | 112 | 293 |
| 2018-08-23 | 2018-12-24 | NA | -0.2777 | 344 | 87 | NA |
| 2001-05-23 | 2001-09-21 | 2001-12-26 | -0.2192 | 150 | 83 | 67 |
| 2015-06-24 | 2016-02-11 | 2016-07-11 | -0.2054 | 268 | 164 | 104 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IJS | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | 1.4 | 0.0 | 0.0 | 0.6 | 1.1 | 0.0 | 3.1 |
| 2001 | 0.6 | 0.1 | 0.0 | 0.8 | 0.6 | 0.0 | 1.2 | 0.0 | -2.5 | 0.7 | 0.0 | 0.0 | 1.4 |
| 2002 | -0.9 | 1.6 | 0.2 | 0.4 | 0.0 | -2.4 | -0.8 | 0.0 | 2.9 | 2.2 | 0.0 | 0.0 | 3.1 |
| 2003 | 0.0 | 0.0 | 0.9 | -0.2 | 0.0 | 0.4 | -1.4 | 0.0 | 2.8 | 0.0 | 1.5 | 0.0 | 3.9 |
| 2004 | 0.0 | 1.6 | 0.4 | 0.0 | 0.8 | -1.1 | 0.0 | 0.4 | 2.3 | 0.6 | 1.5 | 0.0 | 6.5 |
| 2005 | 0.5 | 1.1 | -0.2 | 0.0 | 1.2 | 0.2 | 0.3 | 0.4 | 0.0 | 0.7 | 2.1 | 0.0 | 6.6 |
| 2006 | 0.7 | 1.3 | 0.0 | 0.0 | 1.9 | 0.0 | -1.3 | 0.5 | 0.0 | -1.6 | -0.3 | 0.0 | 1.2 |
| 2007 | 0.9 | -0.5 | 0.0 | 0.8 | 1.0 | 0.0 | 0.5 | 0.0 | 2.4 | -3.7 | 0.0 | 0.0 | 1.4 |
| 2008 | 2.5 | 0.0 | 3.5 | 2.1 | 0.0 | 0.0 | 0.5 | 0.0 | -0.4 | 0.0 | -12.4 | 0.0 | -5.1 |
| 2009 | 0.0 | 0.0 | 2.4 | 0.0 | 4.5 | 2.3 | 0.0 | -2.4 | -3.2 | 0.0 | 1.7 | 0.0 | 5.2 |
| 2010 | 0.8 | 2.0 | 1.0 | 0.0 | -2.8 | -0.7 | 0.0 | 4.0 | 0.5 | -0.9 | 2.3 | 0.0 | 6.2 |
| 2011 | 2.2 | -1.7 | 0.3 | 0.0 | -3.0 | 1.7 | -0.4 | -2.2 | 0.0 | -3.5 | -0.9 | 0.0 | -7.4 |
| 2012 | 2.4 | 0.5 | 0.0 | -0.1 | -3.1 | 0.0 | -1.7 | 0.0 | 0.5 | 1.3 | 0.0 | 0.0 | -0.3 |
| 2013 | 1.1 | 0.3 | -1.0 | -2.4 | 0.0 | 1.3 | 1.4 | 0.0 | 1.0 | -0.2 | 0.0 | 0.0 | 1.4 |
| 2014 | 0.0 | 0.0 | 1.0 | -0.2 | 0.0 | 1.1 | 0.0 | 0.0 | -1.3 | 0.0 | -1.4 | 0.0 | -0.9 |
| 2015 | 0.0 | 0.0 | -0.1 | 0.5 | 0.3 | 0.4 | 0.0 | -2.8 | -0.6 | 0.0 | 0.7 | 0.0 | -1.6 |
| 2016 | -0.6 | 1.7 | 0.0 | 0.0 | 0.7 | 0.4 | -0.1 | -0.1 | 0.0 | -1.4 | -0.2 | 0.0 | 0.3 |
| 2017 | -0.1 | 1.8 | 0.0 | 0.3 | 1.9 | 0.0 | 0.3 | 0.9 | 0.0 | -0.6 | -0.5 | 0.0 | 4.0 |
| 2018 | 0.3 | -0.3 | 0.0 | 0.1 | 0.6 | 0.0 | -0.4 | 0.0 | -1.4 | 1.6 | 0.0 | 0.0 | 0.5 |
| 2019 | 0.1 | 0.6 | 1.6 | -1.1 | 0.0 | 0.3 | -2.0 | 0.0 | -1.9 | 1.7 | 0.0 | 0.1 | -0.6 |
Row
Rolling Performance Chart
Snail Trail Chart
